Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

Business, Finance, Risk Management +17

Partitioning procedures for solving mixed-variables programming problems

J. F. Benders · Numerische Mathematik · 1962 · 3.8K citations

Natural Sciences, Computer Science, Optimization +7

Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems

Garth P. McCormick · Mathematical Programming · 1976 · 2.3K citations

Natural Sciences, Computer Science, Algorithms +10

Portfolio Selection with Transaction Costs

Mark H. Davis, A. R. Norman · Mathematics of Operations Research · 1990 · 1.4K citations · Full text

Social Sciences, Economics, Finance +14

60 Years of portfolio optimization: Practical challenges and current trends

Petter N. Kolm, Reha Tütüncü, Frank J. Fabozzi · European Journal of Operational Research · 2013 · 633 citations

Business, Decision Sciences, Optimization +15